In this section, we consider estimation of bandable covariance matrices with incomplete data. Bandable covariance matrices, whose entries decay as they move away from the diagonal, arise frequently in temporal and spatial data analysis. See, e.g., Bickel and Levina [1]} and Cai et al. [2]} and the references therein. The procedure relies on a “generalized" sample covariance matrix. We begin with basic notation and definitions that will be used throughout the rest of the paper.
